Mean-field formulation for the infinite-horizon mean-variance control of discrete-time linear systems with multiplicative noises
DOI10.1049/iet-cta.2020.0442zbMath1542.93411MaRDI QIDQ6609021
Fabio Barbieri, Oswaldo L. V. Costa
Publication date: 20 September 2024
Published in: IET Control Theory \& Applications (Search for Journal in Brave)
stabilityoptimal controllinear systemsmatrix algebrastochastic processesdiscrete-time linear systemsRiccati equationsmaximal solutionsufficient conditionsoptimisationinvestmentstochastic systemsdiscrete time systemsclosed loop systemsmultiplicative noisesmean-field approachoptimal control policiesoptimal control solutionaverage costsfield formulationaverage cost problemsGCAREgeneralised coupled algebraic Riccati equationsinfinite-horizon mean-variance controlinfinite-horizon stochastic optimal controlmean-square stabilising solutionmean-variance trade-off costsmean-variance trade-off performance criterionmultiperiod portfolio selection problem
Discrete-time control/observation systems (93C55) Linear systems in control theory (93C05) Optimal stochastic control (93E20) Portfolio theory (91G10)
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